Product Market Competition, Insider Trading, and Stock Market Efficiency

• 成果类型: Article
• 署名作者: Peress, Joel
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01522.x
• 发表日期: 2010
• 页码: 1-43
• 关键词: rational-expectations equilibrium; information acquisition; earnings; price; selection; returns; COSTS

摘要

How does competition in firms' product markets influence their behavior in equity markets? Do product market imperfections spread to equity markets? We examine these questions in a noisy rational expectations model in which firms operate under monopolistic competition while their shares trade in perfectly competitive markets. Firms use their monopoly power to pass on shocks to customers, thereby insulating their profits. This encourages stock trading, expedites the capitalization of private information into stock prices and improves the allocation of capital. Several implications are derived and tested.